Arbeitspapier
Nominal Exchange Rate Dynamics in the European Monetary System
The EMS is modeled as imposing dual reflecting barriers on the exchange rate process. This policy leads to a state-dependent conditional variance for exchange rate changes. This variance is always less than that under a pure free float regime. A method of Simulated Moments procedure is employed to estimate the parameters of the model. Simulations with the estimated parameter values show that the model predicts non-normality and non-stationarity in the distribution of exchange rate changes and that these characteristics diminish with aggregation.
- Language
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Englisch
- Bibliographic citation
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Series: Queen's Economics Department Working Paper ; No. 779
- Classification
-
Wirtschaft
- Subject
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Browian motion
target zones
leptokurtosis
ARCH
Method of Simulated Moments
- Event
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Geistige Schöpfung
- (who)
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Spencer, Michael G.
- Event
-
Veröffentlichung
- (who)
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Queen's University, Department of Economics
- (where)
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Kingston (Ontario)
- (when)
-
1990
- Handle
- Last update
-
10.03.2025, 11:46 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Spencer, Michael G.
- Queen's University, Department of Economics
Time of origin
- 1990
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